推进境内外汇期权市场人民币直接报价和清算

Promote RMB Quotation and Clearing in Domestic FX Options Market

当前境内外汇期权市场流动性仍存在较大提升空间。非美元外汇对人民币直盘交易不活跃,且境内客户投资国际市场只能依赖背对背的美元清算,为强化人民币报价、清算,文章建议推动非美元对人民币期权直盘交易和外币计价期权的人民币清算(汇率联动期权,Quanto),并探讨了两者在模型定价和头寸管理方面的解决思路。

There is still much room for liquidity improvement in the domestic FX options market.Direct trading between non-dollar currencies and RMB is not active,and domestic clients can only rely on back-to-back dollar clearing when investing in the international market.To strengthen RMB quotation and clearing,the article suggests promoting direct trading of non-dollar currency to RMB options and RMB clearing of options denominated in foreign currencies(Quanto),and discusses possible solutions to model pricing and position management.